现金分红的连续性、投资效率与公司价值——基于面板结构VAR模型的实证分析

中国管理科学 ›› 2014, Vol. 22 ›› Issue (3): 103-114.

现金分红的连续性、投资效率与公司价值——基于面板结构VAR模型的实证分析

王小泳¹, 孔东民¹, 李尚骜²

1. 华中科技大学经济学院, 湖北武汉 430074;
2. 郑州大学商学院, 河南郑州 450001

收稿日期:2012-03-01 修回日期:2012-11-28 出版日期:2014-03-20 发布日期:2014-03-19
作者简介:王小泳（1976- ），女（汉族），湖北监利人，华中科技大学经济学院，数量经济学博士，研究方向：公司金融与计量.
基金资助:
国家自然科学基金面上项目（71173078）

Continuous Payment of Cash Dividend, Investment Efficiency and Corporate Value——PSVAR Model-based Empirical Research

WANG Xiao-yong¹, KONG Dong-min¹, LI Shang-ao²

1. School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China;
2. Business College, Zhengzhou University, Zhengzhou 450001, China

Received:2012-03-01 Revised:2012-11-28 Online:2014-03-20 Published:2014-03-19

摘要/Abstract

摘要： 本文以1998-2009年间我国1383家上市公司为样本，分别按最终控制人的性质和派现行为是否连续对样本进行了划分，运用面板的结构VAR模型研究了现金股利、投资效率和公司价值之间的关系。基于模型的脉冲响应函数和方差分解，本文对连续派现的公司和非连续派现的公司进行了比较。研究发现：自然人控制的上市公司中，非连续派现公司的投资挤占了现金股利的积极效应，并给公司价值带来了负的冲击效应，连续派现公司的现金分红与投资存在相互促进的效应，公司价值对投资冲击的响应函数值为正；地方政府控制的上市公司整体上投资对现金分红冲击的响应函数值为负，其对公司价值的冲击效应也为负；中央政府控制的上市公司中，连续派现公司的现金分红具有抑制过度投资的效应，但其对投资波动的影响作用较小，若对非连续派现的公司实施以分红为条件的融资政策，则可能会制约其发展。

关键词: 现金分红, 投资效率, 公司价值, 面板结构VAR

Abstract: Based on the dataset of 1353 listed companies from 1998 to2009 in China in this paper, a panel structural vector auto-regressive model is established to analysis the relationship between cash-dividend, investment efficiency and corporate value by classifying the sample according to economic nature of ultimate controller and whether payment is continuous. The impulse response function and variance decomposition for continuous-payment companies and discontinuous-payment companies reflect the following results. As to the private company, the investment occupies the positively effect of the cash dividend and bring about the negative cumulative impulse in discontinuous payment companies while the opposite is true in continuous-payment companies. The response function value of investment to the impulse of cash dividend and impulse of investment to corporate value are all negative in the whole local government controlled companies. Although the continuous-payment curb the overinvestment in the central government controlled companies, that has little effect on investment variance. If discontinuous-payment companies controlled by central government are implemented financing policy for conditions of paying cash dividend, they will be limited to develop.

Key words: cash dividend, investment efficiency, corporate value, panel structural VAR

中图分类号:

王小泳, 孔东民, 李尚骜. 现金分红的连续性、投资效率与公司价值——基于面板结构VAR模型的实证分析[J]. 中国管理科学, 2014, 22(3): 103-114.

WANG Xiao-yong, KONG Dong-min, LI Shang-ao. Continuous Payment of Cash Dividend, Investment Efficiency and Corporate Value——PSVAR Model-based Empirical Research[J]. Chinese Journal of Management Science, 2014, 22(3): 103-114.

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